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Twitter versus Traditional News Media: Evidence for the Sovereign Bond Markets

Author

Listed:
  • Costas Milas

    () (Management School, University of Liverpool, UK; Rimini Centre for Economic Analysis)

  • Theodore Panagiotidis

    () (Department of Economics, University of Macedonia, Greece; Rimini Centre for Economic Analysis)

  • Theologos Dergiades

    () (Department of International and European Studies, University of Macedonia, Greece; School of Science and Technology, International Hellenic University, Greece)

Abstract

This paper compares news in Twitter with traditional news outlets and then emphasizes their differential impact on Eurozone's sovereign bond market for a homogeneous news topic. We find a two-way information flow between Twitter's “Grexit” tweets and the respective mentions in traditional news outlets. The influence of Twitter on the traditional news is consistently more prolonged, especially in high-activity periods. We also assess the differential impact of the two news sources on sovereign spreads over and above the impact of economic/financial fundamentals, namely measures of default risk, liquidity risk and global financial risk. Our focus is on the borrowing costs of Eurozone's periphery; for comparison reasons, we also consider France as a core Eurozone country. The effect of Twitter on the Greek sovereign spread is positive and of higher magnitude than that of traditional news outlets. Weak contagion effects are recorded primarily for the case of Portugal and Ireland.

Suggested Citation

  • Costas Milas & Theodore Panagiotidis & Theologos Dergiades, 2018. "Twitter versus Traditional News Media: Evidence for the Sovereign Bond Markets," Working Paper series 18-42, Rimini Centre for Economic Analysis.
  • Handle: RePEc:rim:rimwps:18-42
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    References listed on IDEAS

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    More about this item

    Keywords

    Grexit; Twitter; Traditional news outlets; Sovereign spreads;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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